嵇少林 教授
山东大学金融研究院教授,博士生导师
现任职务:
荣誉与奖励:
入选2011年度  教育部新世纪优秀人才支持计划
研究方向:

嵇少林现为山东大学金融研究院教授、博士生导师。1971年12月生人,1999年获得博士学位,师从彭实戈院士。1999年至今在山东大学工作,2011 年入选度教育部新世纪优秀人才支持计划。研究领域为金融数学、金融经济学、随机优化和非线性期望理论。近年来,嵇少林与彭实戈院士、美国艺术与科学学院院士Larry Epstein教授、美国哥伦比亚大学周迅宇教授、波士顿大学苗建军教授、英国牛津大学Samuel Cohen教授等合作者在《Review of financial studiesProbability theory and the related fields和《SIAM Control and Optimization》等杂志上发表了一系列的成果。对金融市场中的资本资产定价、随机优化问题和非线性期望理论进行了系统的研究。


联系方式:
通讯地址:山东济南 山大南路27号 山东大学金融研究院(250100)
办公电话:+86-531-88364760 传真:+86-531-88564100
E-mail:jsl@sdu.edu.cn
其他信息:

·代表论著(selected publications)

一.  金融经济学

1.  Larry G. Epstein and Shaolin Ji, AmbiguousVolatility and Asset Pricing in Continuous Time, The Review of FinancialStudies,  26 (7): 1740-1786, 2013.

2.  Carole Bernard,Shaolin Ji and Weidong Tian, An optimal insurance design problem underKnightian uncertainty, Decisions in economics and finance, 36(2): 99-124, 2013.

3.  Larry G. Epstein and Shaolin Ji, Ambiguous volatility, possibility and utilityin continuous time, Journal of Mathematical Economics, 50: 269-282, 2014.

4.     Shaolin ji, Li Li and Jianjun Miao, DynamicContracts with Learning Under Ambiguity, Preprint (download), 2016.

5.     Larry G. Epstein and Shaolin Ji, Optimal learningunder robustness and time-consistency, Preprint (download),2018.

二.  倒向随机微分方程和非线性期望

1.  ShaolinJi and Shige Peng, Terminal perturbation method for the backward approach tocontinuous time mean-variance portfolio selection, Stochastic processes andtheir Applications, 118(6): 952-967, 2008.

2.  Shaolin Ji and Xun YuZhou, A generalized Neyman–Pearson lemma under g-probabilities,Probability theory and related fields, 148: 645-669,  2010.

3.  ShaolinJi, Dual method for continuous-time Markowitz’s problems with nonlinear wealthequations, Journal of Mathematical Analysis and Applications, 366: 90-100,2010.

4.  Mingshang Hu, Shaolin Ji,Shige Peng, Yongsheng Song, Backward stochastic differential equations drivenby G-Brownian motion, Stochastic Processes and their Applications, 124(1): 759–784, 2014.

5.   Mingshang Hu, Shaolin Ji, Shige Peng, YongshengSong, Comparison theorem, Feynman–Kac formula and Girsanov transformation forBSDEs driven by G-Brownian motion, Stochastic Processes and their Applications,124(2): 1170–1195, 2014.

三.  随机优化

1.ShaolinJi and Xun Yu Zhou, A maximum principle for stochastic optimal controlwith terminal state constraints, and its applications, A special issuededicated Tyrone Duncan on the occation of his 65th birthday, Communications inInformation and Systems, 6(4): 321-338, 2006.

2. MingshangHu, Shaolin Ji and Shuzhen Yang A Stochastic Recursive Optimal Control ProblemUnder the G-expectation FrameworkApplied Mathematics and Optimization, 70(2):253-278, 2014.

3. Mingshang Huand Shaolin Ji Stochastic maximum principle for stochastic recursive optimalcontrol problem under volatility uncertainty, SIAM J. CONTROLOPTIM.,54(2):918-945, 2016.

4.Mingshang Hu and Shaolin Ji, Dynamicprogramming principle for stochastic recursive optimal control problem drivenby a G-Brownian motion, Stochastic Processes and their Applications 127 (2017)107–1.

5. MingshangHu, Shaolin Ji and Xiaole Xue, A Global stochastic maximum principle for fullycoupled forward-backward stochastic systems, SIAM J. CONTROL OPTIM.,56(6):4309-4335, 2018.



·教学课程

本科课程:概率论、数理统计、高等数学、计量经济学

研究生课程:优化方法、随机控制、金融工程、随机分析

·博士研究生

博士研究生:曹晓敏、李立、孙钏峰、时晓敏、魏庆萌、肖新玲、于文广、刘浩东、薛小乐、孔垂柳、韩强、祝琳琳